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Portfolio Optimization in R

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  • M. Andrecut
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    Abstract

    We consider the problem of finding the efficient frontier associated with the risk-return portfolio optimization model. We derive the analytical expression of the efficient frontier for a portfolio of N risky assets, and for the case when a risk-free asset is added to the model. Also, we provide an R implementation, and we discuss in detail a numerical example of a portfolio of several risky common stocks.

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    File URL: http://arxiv.org/pdf/1307.0450
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1307.0450.

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    Date of creation: Jul 2013
    Date of revision: Nov 2013
    Handle: RePEc:arx:papers:1307.0450

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    Web page: http://arxiv.org/

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